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What could prevent arbitrage (not necessarily risk-free) between some markets even when price differences exist?

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The seminal paper in this area with over 3,000 citations is by Shleifer and Vishney:

Textbook arbitrage in financial markets requires no capital and entails no risk. In reality, almost all arbitrage requires capital, and is typically risky. Moreover, professional arbitrage is conducted by a relatively small number of highly specialized investors using other people's capital. Such professional arbitrage has a number of interesting implications for security pricing, including the possibility that arbitrage becomes ineffective in extreme circumstances, when prices diverge far from fundamental values. The model also suggests where anomalies in financial markets are likely to appear, and why arbitrage fails to eliminate them.

The Limits of Arbitrage (Andrei Shleifer and Robert W. Vishny (1997))

There are many versions online, one of them is likely ungated.

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There are two necessary conditions for such a price discrimination : 1. The markets should be isolated 2. Some sort of price making power should be involved i.e. some degree of imperfection is required.

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